Belenus Securities PLC
by Professor Ian H. Giddy
New York University
This is a case study of Belenus Securities, a European asset-backed
floating-rate note backed by French commercial mortgage loans. The case
study is intended to highlight a number of interesting features of commercial mortgage-backed
Read the January 1997 Fitch
research report on Belenus Securities (Adobe
Study the November 1998 Fitch
IBCA update on the deal
Try to answer the following questions:
What are the main features of the underlying assets?
What can you find out about the originator of the commercial mortgages?
Who is the issuer of the ABS, and where is the issuer located? Why?
Who is the servicer of the ongoing cash flows?
What are the reasons for the rating given by Fitch to the senior notes?
What are the key legal issues in structuring an ABS deal such as this
What is the interest rate risk in the structure, and what financial
techniques are used to manage them?
What has changed about the securities as of November 1998?